The Bene Gesserit believe that he never destroyed them out of some deep-seated loyalty to his grandmother, the Lady Jessica (HoD, p 30).
His endless dream is carried as a pearl of awareness in each of the worms (Or so we are led to believe, says Lucilla. HoD, p 13.) A kernel of the God Emperor's dream in each worm. So it is said. And even if true, they are not conscious, not aware. Leto himself said he would enter an endless dream. (HoD, p 38)
Taraza: "The Tyrant was a key log. He created the Jam and released it himself" (HoD, p 134). He demonstrated that the great mass of human-kind can act as a single organism (HoD, p 135).